st: Heckman model and endogeneity

[ASIF REZA ANIK <anikbd1979@gmail.com>]

Hi All,

I want to do a heckman model. The problem is that I assume one of my
independent variable has endogeneity problem.

The model is as follows:

y=f(x1, x2, x3)

if my selection criteria is s, the syntax for stata will be :

heckman y x1 x2 x3, (select=s x1 x2 x3)

But if I assume x3 has endogeneity problem, then what should I do. Is
it okay if I do the followings:

regress x3 x1 x2 x4 x5 ..................(x4 and x5 are instruments)
predict y*
and in the final model I replace x3 by y*, and the syntax is:

heckman y x1 x2 y*, (select=s x1 x2 y*)

Is anybody kind enough to tell me whether I am correct or not? I am
new in the issues of Heckman model and endogeneity. So confused.
Looking for your expert opinions.

regards

Anik


--
Asif Reza Anik
Ph.D. Student
Department of Project and Regional Planning
Institute of Farm and Agribusiness Management
Faculty of Agricultural Sciences, Nutritional Sciences and
Environmental Management
Justus-Liebig-Universität Giessen
Senckenbergstr.3, D-35390,
Giessen, Germany.
Tel: +49 (0) 176 811 25989 (Mob.)
E-Mail: Asif.R.Anik@agrar.uni-giessen.de
anikbd1979@gmail.com
http://www.uni-giessen.de/cms/fbz/fb09/institute/ibae/Regionalplanung/daad/Research/Anik

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